Assuming I have years in YEAR and state ids in ID, I guess the correlation ought to be
corAR1(form = ~ YEAR | ID) ? Thanks a lot, David On Thu, 10 Feb 2005 12:36:32 -0500, Doran, Harold <[EMAIL PROTECTED]> wrote: > In the nlme package you can find the gls() function to account for > autocorrelation over time using corAR1. Syntax might look something like > this: > > fm1 <- gls(response ~ IV, long, correlation=corAR1(form=~1|ID), > method='ML') > > You can also use weights() for heteroscedasticity. > > -Harold > > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of David Hugh-Jones > Sent: Thursday, February 10, 2005 12:15 PM > To: r-help@stat.math.ethz.ch > Subject: [R] correcting for autocorrelation in models with panel data? > > Hi > > I have some panel data for the 50 US states over about 25 years, and I > would like to test a simple model via OLS, using this data. I know how > to run OLS in R, and I think I can see how to create Panel Corrected > Standard Errors using > > http://jackman.stanford.edu/classes/350C/pcse.r > > What I can't figure out is how to correct for autocorrelation over time. > I have found a lot of R stuff on time series models but they all seem > focused on predicting a single variable from its previous values. > Can anyone explain to me how to detect and get round autocorrelation? > Is there a package for panel data that I have missed? > > I appreciate that this is probably just as much about my ignorance of > econometrics as about R itself! > > Cheers > David > > ______________________________________________ > R-help@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html > > ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
